I am using irf function from vars package. I am trying to derive cumulative
IRFs.
The following code describes the case of deriving cumulative IRFs:
irf(vecm.l, impulse =
c("g","p","h","l","s"),
response = "g", cumulative TRUE,n.ahead = 20, ortho=TRUE)
I got the output and plotted it, it looked like cumulative values of
estimated MA coefficients. But then I ran the code with cumulative switched
to FALSE as below:
irf(vecm.l, impulse =
c("g","p","h","l","s"),
response = "g", cumulative FALSE,n.ahead = 20, ortho=TRUE)
Output from these two codes is identical. Including cumulative = TRUEin the
irf function does not produce the cumulative responses??
Please note that I converted a vecm model to var using vec2var, hence the
input model is called vecm.l here. Though, I doubt it plays any significance
in deriving cumulative IRFs.
I would appreciate your comment, am I specifying the function incorrectly?
Thanks,
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